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Electrical engineering undergrad, requires a lot of stats classes which can apply to other things as well. If you read the maths part of the paper it is a 95% excess return (which is not the same thing as a 95% return), not sure why the - in front of it which obviously makes it appear negative...

I agree, don't think he has much time left. It will be a sad day in red America when he is overthrown though, no more dire warnings about how we're well on our way to becoming Venezuela because of X policy they don't like. I wonder who the next monster under the bed will be?

Is there a secret T2W section I don't know about? It always seems more scammy then ET to me.

I am almost always able to trade at the next increment above the mid when it is a true mid, i.e. the market makers are on both sides and there isn't a retail order parked inside the spread. The posted spreads are useful only to get the mid, they are in no way indicative of the spread you'd pay...

If you got that out of the paper you were either reading a different paper or didn't understand what it was saying. That's pretty much the opposite of the point of the author. This phenomenon is only observed in S&P 500 puts, not individual stock or other index puts, so it wouldn't be "basically...

The OP did put a return number on a derivative strategy, hence the confusion! Back to the original point, I'm not sure you can effectively get any leverage on a spread like the OP posted, when I ran it just now it I was quoted a $17,192 margin requirement for 1 spread contract. This is in line...

In finance the general convention is that if you're talking about the return on an option strategy or a bond you're talking about the unlevered return unless the specific leverage is specified. Otherwise it's pointless to even put a number there at all.

Really? Last spring I read story after story about the Greek run on banks, riots at ATMs, no cash available....the sky is falling! And then I went there, traveling all over the Peloponnese and the islands and never saw a line of more than 2 people at an ATM, never encountered an ATM without...

I guess I'm misunderstanding then. I'm going off the concept that a 5% return means that if you invested $100 you'd get $5 a year. No matter if that investment was in a $100 bond or an option spread that cost $100? In either case, you tie up $100 in capital and get $5 in return.

The paper isn't discussing skew/smile, it's another phenomenon entirely that appears to only exist in index options and specifically the S&P 500 puts and there isn't a great explanation for why it exists. Great paper when you get the chance to read it.

I think there are bond investments that would yield you 3-5% with a lot less risk and less work.

I'm more surprised to hear there are any assets left to seize.

I agree except the OP said they close out the position sounds like around halfway to expiration. So a drift down that never triggered the buyback followed by a spike just before expiration of the near option?

It's actually a well established phenomenon, only in the S&P 500 though. Take a look at http://www.investps.com/images/Why_Are_Put_Options_So_Expensive.pdf which was the original paper. There have been some alternate explanations postulated but none that I find completely satisfying. The paper's...

The literature has quite definitively shown that OTM puts are overprice based on realized volatility. Which would tend to indicate that either a lot of people are pursuing this strategy or just buying "insurance". In either case, it would indicate that this isn't an optimal strategy. Even if it...

I think your worst case scenario is that the market drifts down to around 1690.01 at the 46 day mark, never hitting your criteria to buy back the spread in the interim. It will cost you more than $10 to buy back the 1700 position at that point since it's not so ITM that it's trading at...

But they're not going to allow "cash in lieu" for a component that isn't trading at the time, since there isn't a way for them to determine what the amount should be.

You certainly do for most, can you point out an exception?

The ETF stops tracking it's underlying because no one can arb the creation units. No free lunch.

In my experience the spread pretty acurately reflects the risk that the lower priced "exchange" goes under while holding your money and you never get any of it or recover pennies on the dollar years later. It's the equivalent of buying junk bonds, nothing wrong with it but risk adjusted returns...